scientific article; zbMATH DE number 796442

zbMATH Open0833.90020MaRDI QIDQ4845600FDOQ4845600

Authors: Ludger Rüschendorf, Svetlozar T. Rachev 

Publication date: 20 February 1996

Title of this publication is not available (Why is that?)

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zbMATH Keywords

market of securitiesvalue of options

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Microeconomic theory (price theory and economic markets) (91B24)

Cited In (18)

• Binomial option pricing with nonidentically distributed returns and its implications
• A parameter estimation of binomial models
• Title not available (Why is that?)
• A study of a type of exotic options in the presence of inflow and outflow of capital in the binomial model of the financial \((B, S)\)-market
• Option pricing for large agents
• Effective and simple VWAP options pricing model
• Option pricing for stable and infinitely divisible asset returns
• Continuous-time approximation of short-term interest rates in generalized Ho-Lee framework
• Some possible stock price distributions under incompleteness of the market
• The random-time binomial model
• Option pricing under the Merton model of the short rate
• Maximum likelihood estimation of stable Paretian models.
• Models for option pricing based on empirical characteristic function of returns
• On strong causal binomial approximation for stochastic processes
• Option Pricing in ARCH-type Models
• Title not available (Why is that?)
• Multivariate option price models and extremes
• Richter's local limit theorem and Black-Scholes type formulas

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